Capture Basin Algorithm for Evaluating and Managing Complex Financial Instruments

Dominique Pujal and Patrick Saint-Pierre ()
Additional contact information
Dominique Pujal: S.D.F. C.R.V.J.C. University Paris Dauphine
Patrick Saint-Pierre: S.D.F. C.R.V.J.C. University Paris Dauphine

No 186, Computing in Economics and Finance 2006 from Society for Computational Economics

Abstract: One aim of Viability Theory is to regulate evolutions under uncertainty in order not only to reach a target in finite time, but also to fulfill constraints (known as viability) until this time. Within the framework of finance, in the case of replicating portfolios, the target is defined by the payoff function at maturity time, and the constraints appear when one want to take into account limitations on prices and quantities to share. Moreover, extension of Viability Theory to hybrid or impulse systems allows to evaluate more complex financial instruments.

Keywords: Viability; Capture Basin Algorithm; Finance (search for similar items in EconPapers)
JEL-codes: C73 G10 G13 (search for similar items in EconPapers)
Date: 2006-07-04
References: Add references at CitEc
Citations: View citations in EconPapers (10)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sce:scecfa:186

Access Statistics for this paper

More papers in Computing in Economics and Finance 2006 from Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().